Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0107
Annualized Std Dev 0.2025
Annualized Sharpe (Rf=0%) 0.0529

Row

Daily Return Statistics

Close
Observations 3647.0000
NAs 1.0000
Minimum -0.1168
Quartile 1 -0.0050
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0060
Maximum 0.1569
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0128
Skewness 0.0526
Kurtosis 19.0652

Downside Risk

Close
Semi Deviation 0.0093
Gain Deviation 0.0093
Loss Deviation 0.0104
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5289
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0310
Modified VaR (95%) -0.0158
Modified ES (95%) -0.0158
From Trough To Depth Length To Trough Recovery
2007-12-07 2009-03-09 NA -0.5289 3344 314 NA
2007-06-04 2007-08-15 2007-09-26 -0.0943 81 52 29
2007-02-27 2007-03-05 2007-03-21 -0.0662 17 5 12
2006-12-15 2007-01-10 2007-02-02 -0.0381 32 16 16
2007-11-09 2007-11-12 2007-11-23 -0.0261 10 2 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA -0.9 0.8 -0.1 0.3 0.1
2007 0.9 -1 -0.2 0.2 0.5 0.3 1 1.2 1.2 -1.9 -0.4 -0.8 1
2008 1.2 -2.2 2.3 1.6 0.5 -0.1 -1.6 -1 0.2 0 -9 1.7 -6.6
2009 -1.1 -0.4 -0.2 1.1 2.5 1 -0.2 -1.9 -2.4 -2.3 2.3 -0.9 -2.8
2010 1 0.6 1.3 0.1 -1.4 1.3 -0.1 2.3 0.8 -0.8 1.3 -0.1 6.4
2011 2 -1.5 0.4 0.3 -1.8 1 -1.3 -0.7 -2.2 -2.4 -0.2 0 -6.5
2012 0.9 1.2 0.5 0.4 -1.1 1.8 -0.3 0.5 0.1 -0.2 0.4 1.4 5.6
2013 0.1 -0.4 -0.4 -0.4 -1.2 -1 1.2 -0.4 0.5 -0.2 -0.1 0.5 -1.6
2014 0.1 0.6 -0.4 0.7 0.8 0 -0.4 0.5 -0.1 0.7 0.4 -1.1 1.8
2015 -2 0.4 0.4 0.4 -0.1 0.1 1 -2.8 -0.9 0.4 1.2 -1.2 -3.1
2016 0.9 0.6 0 0.5 -0.1 0.1 -0.5 -0.1 -0.2 -1.2 -1 -0.4 -1.4
2017 -1.1 -0.6 0.6 -0.2 0.7 -0.2 0.6 0 0.1 -0.6 -0.4 0 -0.9
2018 -0.8 -0.3 0.5 -0.3 -1.1 0.5 -1 -0.4 -0.3 0 1 0.2 -1.9
2019 -0.5 0.2 -0.4 -1.2 0.3 -0.2 0.5 0 -0.3 -0.2 -0.2 0.3 -1.7
2020 -0.4 -2.9 -5.8 -2.1 1.3 1.6 -0.2 -0.8 1.1 -0.9 1.1 0.8 -7.3
2021 0.5 1.8 0.7 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-09-21  50.5 SPY    132. -0.00480 -0.0027    0.0134   0.0595   0.0906    0.286    0.336 GLD    58.0  1.21e-2   0.0133
2 2006-09-22  50.3 SPY    131. -0.003   -0.0037    0.0132   0.0565   0.0835    0.277    0.352 GLD    58.5  9.50e-3   0.0192
3 2006-09-25  50.6 SPY    132.  0.0077   0.0026    0.0218   0.0599   0.0909    0.310    0.316 GLD    58.5  0.        0.0046
4 2006-09-26  50.8 SPY    134.  0.0083   0.0134    0.029    0.078    0.0987    0.332    0.313 GLD    58.7  4.10e-3   0.032 
5 2006-09-27  51.7 SPY    134.  0.00120  0.00930   0.0254   0.0721   0.100     0.338    0.319 GLD    59.8  1.82e-2   0.0445
6 2006-09-28  51.7 SPY    134. -0.0004   0.0138    0.0238   0.0504   0.0988    0.325    0.307 GLD    59.8 -3.00e-4   0.0318
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart